Mike,
I know of no way to do what you're asking for. However, you can always use lists as an ad hoc kind of set. Use List.mem to check membership, and some functions to add elements or create a set while looking for duplicates:
 
 
    let add n list =
      let rec aux = function
   l::ls when compare l n = 0 -> list
 | l::ls -> aux ls
 | [] -> list @ [n]
      in aux list
 
    let create list =
      let rec aux accumulator = function
   l::ls -> aux (add l accumulator) ls
 | [] -> accumulator
      in aux [] list
 
This is terribly inefficient for big sets, but it works. It could be made more efficient by making sure the lists are ordered, etc.
 
Jeff